Sökning: "Arbitrage"

Visar resultat 1 - 5 av 28 avhandlingar innehållade ordet Arbitrage.

  1. 1. The theory of Homo comperiens, the firm’s market price, and the implication for a firm’s profitability

    Författare :Joachim Landström; Jan-Erik Gröjer; Dag Smith; Frøystein Gjesdal; Uppsala universitet; []
    Nyckelord :SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Homo Comperiens; Inefficient Markets; Efficient Markets; Arbitrage; No-Arbitrage; Market Price; Market Value; Intrinsic Value; Residual Income; Residual Earnings; Company Valuation; Firm Valuation; Valuation; Accounting; Financial Accounting; Financial Analysis; Residual Rate-of-Return; Residual Rates-of-Returns; Business studies; Företagsekonomi;

    Sammanfattning : This thesis proposes a theory of inefficient markets that uses limited rational choice as a central trait and I call it the theory of Homo comperiens. The theory limits the alternatives and states that the subjects are aware of and only allow them to have rational preference relations on the limited action set and state set, i.e. LÄS MER

  2. 2. Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications

    Författare :José Igor Morlanes; Andriy Andreev; Hans Nyquist; Henrik Hult; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; fractional Ornstein-Uhlenbeck process; insider information; simulation embedding method; jump times; least-squares estimator; likelihood process; Ito calculus; Malliavin calculus; stochastic calculus; Statistics; statistik;

    Sammanfattning : This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion.New results obtained by the author are presented in five articles. LÄS MER

  3. 3. Aspects of cash-flow valuation

    Författare :Fredrik Armerin; Boualem Djehiche; Bjarne Astrup Jensen; KTH; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; arbitrage; coherent and convex measures of risk; immunization; insurance; martingale methods; Matematisk statistik; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis consists of five papers. In the first two papers we consider a general approach to cash flow valuation, focusing on dynamic properties of the value of a stream of cash flows. The third paper discusses immunization theory, where old results are shown to hold in general deterministic models, but often fail to be true in stochastic models. LÄS MER

  4. 4. Essays on Lookback and Barrier Options - A Malliavin Calculus Approach

    Författare :Hans-Peter Bermin; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Girsanov transformations.; lookback options; Contingent claims; barrier options; hedging; pricing; arbitrage; complete markets; self-financing portfolios; Black-Scholes formula; Clark-Ocone formula; Malliavin calculus; Financial science; Finansiering;

    Sammanfattning : This thesis consists of four theoretical essays on contingent claim analysis and its connection to Malliavin calculus. The first three papers are analyzed in the famous Black and Scholes model, while the setup of the fourth paper involves an international environment and the presence of exchange rates. LÄS MER

  5. 5. No Arbitrage Pricing and the Term Structure of Interest Rates

    Författare :Thomas Gustavsson; Jan Söderström; Peter Sehlin; Uppsala universitet; []
    Nyckelord :SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Nationalekonomi;

    Sammanfattning : This dissertation provides an introduction to the concept of no arbitrage pricing and probability measures. In complete markets prices are arbitrage-free if and only if there exists an equivalent probability measure under which all asset prices are martingales. This is only a slight generalization of the classical fair game hypothesis. LÄS MER